Volatility and Information Linkages Across Markets and Countries

Petra Fleischer*

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    8 Citations (Scopus)


    This study examines information and volatility linkages across the equity, money and bond markets within Australia and the US and across the two countries. These volatility linkages are due to common information and information spillovers caused by cross-market hedging. We employ a rational expectations framework in which information arrives randomly, causing volatility to be stochastic. The model imposes restrictions on the moments of returns which we estimate using GMM. We find that the model fits extremely well. The parameters are very stable across the various bivariate specifications. Cross-market linkages estimated using GMM are much stronger than those found with the commonly used proxies for volatility.

    Original languageEnglish
    Pages (from-to)251-272
    Number of pages22
    JournalAustralian Journal of Management
    Issue number3
    Publication statusPublished - Dec 2003


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